Flirting with Models-logo

Flirting with Models

Markets and Investing

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Location:

United States

Description:

Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies. Join Corey Hoffstein, Chief Investment Officer of Newfound Research, on a journey to explore systematic investment strategies, ranging from value to momentum and merger arbitrage to managed futures. Episodes released in topic-specific seasons. For more on Newfound Research, visit ThinkNewfound.com. And to learn about Newfound’s suite of mutual funds and other investment offerings, please visit ThinkNewfoundFunds.com.

Twitter:

@choffstein

Language:

English

Contact:

6175319773


Episodes

Sam Trabucco - Perpetual Swaps, Liquidation Cascades, and the USD-BTC-YEN Triangle Trade (S4E8)

6/20/2021
In this episode I speak with Sam Trabucco from Alameda Research. Alameda manages over $100mm in digital assets and trades between $600mm and $1.5bn per day. We begin our conversation with a discussion around the features that distinguish crypto markets from traditional markets. What becomes a recurring theme in the conversation is how decentralization and fragmentation present both an opportunity and a challenge. Sam provides some color into the easiest and hardest alpha he’s earned,...

Duration:00:55:31

Angus Cameron - Trade Structuring: Systematizing a Hidden Edge (S4E6)

6/7/2021
Angus Cameron is the Founder and CIO of Liminal Capital, a machine-learning focused investment manager. But Angus does not come to markets with a computer science PhD. Rather, his career arc took him through the prop desks and buyside of Asia, trading global fixed income, FX, equity markets, and arbitrage strategies on a discretionary basis. A machine-learning driven approach is a new endeavor, but one informed by the wisdom of experience. Angus would consider himself a quantitative...

Duration:01:15:36

Guillermo Roditi Dominguez - Path or Destination, Not Both (S4E5)

5/31/2021
In this episode I speak with Guillermo Roditi Dominguez, managing director at New River Investments. This was one of the more unique and wide-ranging conversations I have had on the podcast to date. We begin by discussing Guillermo’s approach to portfolio construction, which is heavily focused on the idea of under-writing risk. How he goes about achieving this, though, takes us from adjusted valuation measures to the positioning of large, systematic players and even to the importance of...

Duration:01:04:41

Tina Lindstrom - Commodity Volatility (S4E4)

5/24/2021
Tina Lindstrom is a Partner at First NY, where she manages an oil volatility portfolio. She began her career at Susquehanna and eventually worked her way up to managing both the high cap equity index group and the commodity volatility group. This gives her the unique perspective to be able to compare and contrast how these two markets operate. Tina explains what makes commodity markets unique, how the structure of markets has changed over time, how relative value trades might emerge, and...

Duration:00:37:31

David Fauchier - Paranoid Crypto Cowboys (S4E3)

5/17/2021
In this episode I chat with David Fauchier of Nickel Digital Asset Management. At Nickel, David manages the Factors Fund, a multi-strategy, multi-manager fund for cryptocurrencies. We leave the philosophical discussions about crypto aside to dive into the features of this universe that make it rife with opportunity. What struck me most about this conversation was not just how much crypto markets have evolved in the past several years, but how fragmented they still remain. Different...

Duration:01:05:26

Darrin Johnson - Independently Shorting Volatility (S4E2)

5/10/2021
Darrin Johnson is the first independent trader I’ve interviewed for this show and with that distinction he brings an entirely new perspective. After learning about how Darrin began his career as an independent trader, we get into the bulk of the conversation that circles around his process of shorting volatility in the S&P 500 complex, including options on futures, index options, VIX futures, and VIX ETPs. Darrin provides insights into how he plays certain tenors over others, why knowing...

Duration:01:10:41

Cem Karsan - The Market Voting Machine (S4E1)

5/3/2021
My guest this episode is Cem Karsan, Founder and Senior Managing Partner of Aegea Capital Management. Cem began his career in the pits, and so we begin our conversation with a discussion by comparing and contrasting today’s market versus days gone by. And, perhaps more importantly, the wisdom gained from that era. It was in the pits that Cem began to understand and develop his intuition for markets and what would become the colorful cast of characters he uses to describe what’s driving...

Duration:00:44:50

Dennis Davitt - Markets > Models (S4E7)

4/9/2021
In this episode I speak with Dennis Davitt, CEO of Millbank Dartmoor Portsmouth. Dennis began his career in the option pits of New York and Chicago and eventually worked his way to managing the equity derivatives desk for Credit Suisse. These experiences taught Dennis two important lessons. First, respect markets over models. Secondly, always ask: “what’s the motivation behind this transaction?” And for each of these lessons, Dennis offers a number of stories to entertain us. In 2013,...

Duration:01:17:07

Liquidity Cascades

9/20/2020
In this episode I am going to read Newfound’s latest research paper, LIQUIDITY CASCADES: The Coordinated Risk of Uncoordinated Market Participants. This reading will refer to a number of figures within the paper, so I urge you to go to our website, thinknewfound.com, and download the PDF so you get better follow along. This paper is unlike any research we've shared in the past. Within we dive into the circumstantial evidence surrounding the "weird" behavior many investors believe markets...

Duration:01:05:00

Kris Sidial - Long Volatility for the New Regime (S3E14)

9/7/2020
My guest this episode is Kris Sidial, co-CIO of The Ambrus Group, a volatility arbitrage focused firm founded in 2018. Kris recently joined Ambrus after spending several years on BMO’s exotic and listed options desks. While time on these desks gave Kris the experience of managing a large derivatives book, what convinced him to take the leap to a new firm was growing confidence in a thesis that market micro-structure had undergone a regime shift. And in Kris’s view, this regime shift...

Duration:01:13:57

Cliff Asness - "...But Not So Open Your Mind Falls Out" (S3E13)

7/29/2020
“Keep an open mind. But not so open your mind falls out.” My guest in this episode needs little introduction: Cliff Asness, co-founder and managing partner at AQR. Cliff has done dozens of interviews, podcasts, talks, and fireside chats over the years. He is also a prolific writer. So, my goal in this conversation was to try to find the questions he hadn’t been asked before or had not answered himself already. How did his formative experiences in the dotcom bubble shape his perception of...

Duration:01:00:17

Euan Sinclair - Positional Option Trading (S3E12)

7/27/2020
Today I chat with Euan Sinclair, Partner at Talton Capital Management and author of the books Options Trading, Volatility Trading, and the up-coming Positional Option Trading. We begin our discussion with Euan’s experience as a market maker as I try to get a better understanding of what a market making operation really looks like from the inside and how it has changed over the last 15 years. Of particular interest to me, given how much market makers have been villianized in recent years,...

Duration:01:01:03

Omer Cedar - Quant-Aware Discretionary (S3E11)

7/24/2020
Today I am speaking with Omer Cedar, CEO and co-founder of OmegaPoint. One of the significant trends in quant equity over the last decade has been the attempt to better control for unintended bets and idiosyncratic risks. At OmegaPoint, Omer comes at the problem from the opposite direction: helping fundamental managers better focus on their idiosyncratic risk and recognize the factor risks they may be unintentionally taking. We discuss how quantitative investors have impacted markets, how...

Duration:00:43:08

Sandrine Ungari - Alternative Risk Premia (S3E10)

7/22/2020
My guest in this episode is Sandrine Ungari, Head of Cross-Asset Quantitative Research at SocGen. Sandrine cut her teeth in the industry as a fixed-income pricing quant, but made her way over to sell-side, investment quant research in 2006. Her early research focused on credit and macro, but since 2012 has been heavily focused on equity and alternative risk premia. Our conversation begins with equity factors and Sandrine provides insight both into how factor construction has evolved over...

Duration:00:59:27

Michael Hunstad - Institutional Trends in Factor Investing (S3E9)

7/20/2020
In this episode I speak with Dr. Michael Hunstad, Head of Quantitative Strategies at Northern Trust. Our conversation centers around the four key trends Michael is seeing among institutional allocators in the factor space today. These trends are (1) the adoption of factors to manage concentration risk in market-cap weighted benchmarks, (2) a move from single- to multi-factor implementations, (3) using factors to de-risk equity exposure, and (4) a tactical tilt towards value. But Michael...

Duration:01:02:13

Mads Ingwar and Martin Oberhuber - Full Stack Machine Learning (S3E8)

7/17/2020
In this episode I chat with Mads Ingwar and Martin Oberhuber, co-founders of Kvasir Technologies, a systematic hedge fund powered by a full-stack application of machine learning. By full-stack I mean every layer of the process, including data ingestion, signal generation, portfolio construction, and execution, which gives us a lot to talk about. Our conversation covers topics ranging from the limitations of machine learning and hard lessons learned to how to keep up in a rapidly evolving...

Duration:00:55:18

Eric Crittenden - All-Weather Portfolios with Trend Following (S3E7)

7/15/2020
My guest is Eric Crittenden, founder and Chief Investment Officer of Standpoint Funds. Eric has spent his career with trend following strategies, first at BlackStar where he managed a fund-of-funds, then at Longboard, and now at Standpoint Funds. This background makes him not only a fountain of knowledge on trend following theory, but also the operational logistics and practical considerations. In this episode our conversation ranges from the source of the trend-following premium to novel...

Duration:01:04:07

Jeffrey Baird - Commodity Convexity (S3E6)

7/13/2020
In this episode I speak with Jeffrey Baird, managing partner at Merritt Point Partners. Merritt Point Partners seeks to build diversified portfolios of convexity exposure through the commodities market. With that in mind, we talk about what makes the commodities market unique, who the players are, and the types of trades that Jeff looks for. Stepping somewhat outside of the theme for this podcast, Jeff actually employs a heavily fundamentals-driven process. But what fundamental means in...

Duration:01:00:15

Dr. Ernest Chan - Tail Reaper (S3E5)

7/10/2020
My guest in this episode is Dr. Ernest Chan, founder of QTS Capital Management. Investor, researcher, and educator, Ernie is well-known for his blog – which he has been publishing since 2006 – as well as the several books he has authored, including Quantitative Trading, Algorithmic Trading, and Machine Trading. Our conversation meets at the intersection of tail risk hedging and machine learning. Ernie has a long history with machine learning, having first applied it on Wall Street in the...

Duration:00:49:08

Jim Masturzo - Tactical Asset Allocation (S3E4)

7/8/2020
In this episode I speak with Jim Masturzo, Head of Asset Allocation at Research Affiliates. In his role, Jim oversees the research and publication of the firm’s capital market assumptions as well as the implementation of those views into a suite of tactical portfolios. We begin our conversation discussing the foundational assumptions behind the capital market assumptions. Like most firms, Research Affiliates takes a long-term view on return and risk. In line with the firm’s guiding...

Duration:00:54:22